Structural Interpretation of Vector Autoregressions with Incomplete Identification Revisiting the Role of Oil Supply and Demand Shocks

Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themsel...

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Vydané v:The American economic review Ročník 109; číslo 5; s. 1873 - 1910
Hlavní autori: Baumeister, Christiane, Hamilton, James D.
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Nashville American Economic Association 01.05.2019
Predmet:
Accumulation
Bayesian analysis
Crude oil prices
Economic activity
Economic models
Globalization
Inference
Petroleum
Regression analysis
Supply & demand
Uncertainty
ISSN:0002-8282, 1944-7981
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Shrnutí:Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation a smaller factor than implied by earlier estimates. Supply shocks lead to a reduction in global economic activity after a significant lag, whereas shocks to oil demand do not.
Bibliografia:ObjectType-Article-1
SourceType-Scholarly Journals-1
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content type line 14
ISSN:0002-8282
1944-7981
DOI:10.1257/aer.20151569